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Convexity Adjustments Made Easy - A Review of Convexity Adjustment Methodologies and Formulae in Interest Rate Markets 凸性调整变得容易——利率市场中凸性调整方法和公式的回顾
Banque de France Research Paper Series Pub Date : 2019-06-08 DOI: 10.2139/ssrn.3401235
N. Burgess
{"title":"Convexity Adjustments Made Easy - A Review of Convexity Adjustment Methodologies and Formulae in Interest Rate Markets","authors":"N. Burgess","doi":"10.2139/ssrn.3401235","DOIUrl":"https://doi.org/10.2139/ssrn.3401235","url":null,"abstract":"Interest rate instruments are typically priced by creating a non-arbitrage replicating portfolio in a risk-neutral framework. Bespoke instruments with timing, quanto and other adjustments often present arbitrage opportunities, particularly in complete markets where the difference can be monetized. To eliminate arbitrage opportunities we are required to adjust bespoke instrument prices appropriately, such adjustments are typically non-linear and described as convexity adjustments.<br><br>We review convexity adjustments firstly using a linear rate model and then consider a more advanced static replication approach. We outline and derive the analytical formulae for Libor and Swap Rate adjustments in a single and multi-curve environment, providing examples and case studies for Libor In-Arrears, CMS Caplet, Floorlet and Swaplet adjustments in particular. In this paper we aim to review convexity adjustments with extensive reference to popular market literature to make what is traditionally an opaque subject more transparent and heuristic.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121048673","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Financial Deepening, Terms of Trade Shocks and Growth in Low-Income Countries Countries 金融深化、贸易冲击条件与低收入国家增长
Banque de France Research Paper Series Pub Date : 2019-05-01 DOI: 10.2139/ssrn.3388662
Kangni Kpodar, Maelan Le Goff, R. Singh
{"title":"Financial Deepening, Terms of Trade Shocks and Growth in Low-Income Countries Countries","authors":"Kangni Kpodar, Maelan Le Goff, R. Singh","doi":"10.2139/ssrn.3388662","DOIUrl":"https://doi.org/10.2139/ssrn.3388662","url":null,"abstract":"This paper contributes to the literature by looking at the possible relevance of the structure of the financial system—whether financial intermediation is performed through banks or markets—for macroeconomic volatility, against the backdrop of increased policy attention on strengthening growth resilience. With low-income countries (LICs) being the most vulnerable to large and frequent terms of trade shocks, the paper focuses on a sample of 38 LICs over the period 1978-2012 and finds that banking sector development acts as a shock-absorber in poor countries, dampening the transmission of terms of trade shocks to growth volatility. Expanding the sample to 121 developing countries confirms this result, although this role of shock-absorber fades away as economies grow richer. Stock market development, by contrast, appears neither to be a shock-absorber nor a shock-amplifier for most economies. These findings are consistent across a range of econometric estimators, including fixed effect, system GMM and local projection estimates.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127327933","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
New Version of IS-LM: Neoclassical Monetarism 新版本的IS-LM:新古典货币主义
Banque de France Research Paper Series Pub Date : 2019-03-28 DOI: 10.17265/2328-7144/2019.03.004
G. Uysal
{"title":"New Version of IS-LM: Neoclassical Monetarism","authors":"G. Uysal","doi":"10.17265/2328-7144/2019.03.004","DOIUrl":"https://doi.org/10.17265/2328-7144/2019.03.004","url":null,"abstract":"This study argues three policies for economies. The aim of those policies is to increase total demand by money supply. Global economy currently faces lack of money in markets and recession effect. First, neo-merchantalism is to use national currency in bilateral trade. Second, limited money supply is to supply money to sub-regions of economy. Third, neoclassical monetary uses channels in monetary supply. Channels in NCM policy are financial banks and firms. Financial banks and firms distribute money into business markets. Global economies may apply propositions of NCM currently to refresh economies with money.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125591946","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Are Global Value Chains Receding? The Jury Is Still Out. Key Findings from the Analysis of Deflated World Trade in Parts and Components 全球价值链正在衰退吗?尚无定论。对世界零部件贸易萎缩的分析得出的主要结论
Banque de France Research Paper Series Pub Date : 2019-03-01 DOI: 10.2139/ssrn.3359558
G. Gaulier, Aude Sztulman, Deniz Ünal-Kesenci
{"title":"Are Global Value Chains Receding? The Jury Is Still Out. Key Findings from the Analysis of Deflated World Trade in Parts and Components","authors":"G. Gaulier, Aude Sztulman, Deniz Ünal-Kesenci","doi":"10.2139/ssrn.3359558","DOIUrl":"https://doi.org/10.2139/ssrn.3359558","url":null,"abstract":"In this article, we examine the dynamics of Global Value Chains (GVCs) since the 2000s. Did it show a marked expansion up to the Great Recession and did GVCs begin a downturn in the 2010s? To better understand the evolution of GVCs at the world level, we use very detailed trade data for 2000 to 2016, which distinguishes different production stages along the GVC. In particular, among intermediate goods, we focus on Parts and Components (P&C) rather than semi-finished products since the manufacture of P&C corresponds to activities more embedded in GVCs. We control, also, for the global business cycle and price effects using an original production stages deflator based on detailed bilateral trade unit-values. This new GVC indicator shows moderate growth over the study period with no trend reversal.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"135 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122051360","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
Rising Inequalities in Access to Home Ownership among Young Households in France, 1973-2013 1973-2013年，法国年轻家庭获得住房的不平等现象日益严重
Banque de France Research Paper Series Pub Date : 2018-10-29 DOI: 10.2139/ssrn.3352361
Carole Bonnet, Bertrand Garbinti, Sébastien Grobon
{"title":"Rising Inequalities in Access to Home Ownership among Young Households in France, 1973-2013","authors":"Carole Bonnet, Bertrand Garbinti, Sébastien Grobon","doi":"10.2139/ssrn.3352361","DOIUrl":"https://doi.org/10.2139/ssrn.3352361","url":null,"abstract":"[eng] Amongst young households (ages 25 to 44), inequalities in first-time home-ownership and in the amount of acquired real estate assets have increased between the most modest and the most affluent groups over the past forty years. According to Insee’s Housing surveys, 32% of young low-income households were homeowners in 1973, as compared to only 16% in 2013. Beyond the role of macroeconomic and institutional factors (real estate prices, interest rates, term of loans granted, etc.), a decomposition of changes in ownership rates over the period using the “Oaxaca-Blinder” method highlights the role of changes in family structures (increasing proportion of single-parent families, decline in the share of couples with children in the most modest households) and the sharp decline in small rural home ownership. Family support – gift assistance, inheritance and other forms of aid – also played an important part in the 2000s: four out of ten recent homeowners benefited from it, two out of ten even receiving direct financial assistance for their purchase. This support increased significantly among wealthier households during the 2000s, contributing to a widening gap with the share of homeowners in the least well-off populations.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127543725","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Estimating US Consumer Gains from Chinese Imports 估计美国消费者从中国进口商品中获得的收益
Banque de France Research Paper Series Pub Date : 2018-10-15 DOI: 10.2139/ssrn.3383907
L. Bai, S. Stumpner
{"title":"Estimating US Consumer Gains from Chinese Imports","authors":"L. Bai, S. Stumpner","doi":"10.2139/ssrn.3383907","DOIUrl":"https://doi.org/10.2139/ssrn.3383907","url":null,"abstract":"We estimate the size of US consumer gains from Chinese imports during 2004–2015. Using barcode-level price and expenditure data, we construct inflation rates under CES preferences, and use Chinese exports to Europe as an instrument. We find significant negative effects of Chinese imports on US prices. This effect is driven by both changes in the prices of existing goods and the entry of new goods, and it is similar across consumer groups by income or region. A simple benchmarking exercise suggests that Chinese imports led to a 0.19 percentage point annual reduction in the price index for consumer tradables. (JEL E21, E31, F14, P33)","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124171547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 33
Monetary Policy and Long-Run Systemic Risk-Taking 货币政策与长期系统性风险承担
Banque de France Research Paper Series Pub Date : 2018-09-01 DOI: 10.2139/ssrn.3250617
Gilbert Colletaz, Grégory Levieuge, Alexandra Popescu
{"title":"Monetary Policy and Long-Run Systemic Risk-Taking","authors":"Gilbert Colletaz, Grégory Levieuge, Alexandra Popescu","doi":"10.2139/ssrn.3250617","DOIUrl":"https://doi.org/10.2139/ssrn.3250617","url":null,"abstract":"As an extension to the literature on the risk-taking channel of monetary policy, this paper studies the existence of a systemic risk-taking channel (SRTC) in the Eurozone, through an original macroeconomic perspective based on causality measures. Because the SRTC is effective after an “incubation period”, we make a distinction between short and long-term causality, following the methodology proposed by Dufour and Taamouti (2010). We find that causality from monetary policy to systemic risk, while not significant in the very short term, robustly represents 75 to 100% of the total dependence between the two variables in the long run. Reverse causality is rejected: systemic risk did not influence the policy of the European Central Bank before the global financial crisis. However, central banks must be aware that a too loose monetary policy stance may be conducive to a build-up of systemic risk.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128290701","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 26
(Real-)Time is Money 时间就是金钱
Banque de France Research Paper Series Pub Date : 2018-04-01 DOI: 10.2139/ssrn.3161632
C. Pfister
{"title":"(Real-)Time is Money","authors":"C. Pfister","doi":"10.2139/ssrn.3161632","DOIUrl":"https://doi.org/10.2139/ssrn.3161632","url":null,"abstract":"In the age of high-frequency trading in financial markets and faster payment services in account-to-account (A2A) transactions of bank retail customers, it may seem odd that the shortest maturity that is traded in the money market is overnight. This situation reflects policies implemented by central banks, which provide banks with free intraday liquidity. Such policies are difficult to ground in theory and have limitations which central banks could remedy by conducting real-time monetary policies. The article details how, following that decision, central banks could adapt some features of their monetary policy operational frameworks and of their real-time gross settlement systems. In any case, the potential benefits of such a move should be carefully weighed against the costs for the central banks, financial intermediaries and society.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"11 10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125740969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Impact of Exports on Innovation: Theory and Evidence 出口对创新的影响:理论与证据
Banque de France Research Paper Series Pub Date : 2018-04-01 DOI: 10.2139/ssrn.3171084
P. Aghion, A. Bergeaud, M. Lequien, Marc J. Melitz
{"title":"The Impact of Exports on Innovation: Theory and Evidence","authors":"P. Aghion, A. Bergeaud, M. Lequien, Marc J. Melitz","doi":"10.2139/ssrn.3171084","DOIUrl":"https://doi.org/10.2139/ssrn.3171084","url":null,"abstract":"This paper investigates the effect of export shocks on innovation. On the one hand a positive shock increases market size and therefore innovation incentives for all firms. On the other hand it increases competition as more firms enter the export market. This in turn reduces profits and therefore innovation incentives particularly for firms with low productivity. Overall the positive impact of the export shock on innovation is magnified for high productivity firms, whereas it may negatively affect innovation in low productivity firms. We test this prediction with patent, customs and production data covering all French manufacturing firms. To address potential endogeneity issues, we construct firm-level export proxies which respond to aggregate conditions in a firm's export destinations but are exogenous to firm-level decisions. We show that patenting robustly increases more with export demand for initially more productive firms. This effect is reversed for the least productive firms as the negative competition effect dominates.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117261296","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 59
Monetary Policy and Collateral Constraints Since the European Debt Crisis 欧债危机以来的货币政策与抵押品约束
Banque de France Research Paper Series Pub Date : 2018-03-01 DOI: 10.2139/ssrn.3144349
J. Barthélemy, V. Bignon, Benoît Nguyen
{"title":"Monetary Policy and Collateral Constraints Since the European Debt Crisis","authors":"J. Barthélemy, V. Bignon, Benoît Nguyen","doi":"10.2139/ssrn.3144349","DOIUrl":"https://doi.org/10.2139/ssrn.3144349","url":null,"abstract":"With the European debt crisis, the role of assets accepted by the Eurosystem as collateral for refinancing operations took on a new place in the public debate, as, against a backdrop of shifting demand for refinancing, movements in European bond prices led to significant fluctuations in the collateral constraints of credit institutions. This paper documents the change in and heterogeneity of these constraints. We assess the impact attributable to the downgrade of sovereign ratings and the decline in asset prices during the European debt crisis on the valuation of collateral available for refinancing. We also construct indicators that track the change in the quality and liquidity of posted collateral. Our findings suggest that the flexibility of the Eurosystem collateral framework enabled credit institutions to cushion the shock created by the European debt crisis by depositing assets that were less liquid than bonds without causing a relative deterioration in the average rating of assets posted as collateral compared with the average rating on the market, as measured by eligible marketable assets.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115389557","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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